BME
This is a course
in two parts:
Part 1 deals with Portfolio Credit Risk; it focuses on practical
applications, FRM and PRM exercises and the CreditMetrics
and KMV models. The lecture notes can be obtained here:
Lecture 1: Portfolio Credit
Risk
Additional
documentation includes this excellent paper by M. Gordy
From CreditMetrics to CreditRisk+ and
Back Again
Part 2 deals
with Hedge funds, as a metaphor for Investment Risk Management and Asset
Management methodologies. The lecture notes can be obtained here:
Lecture 2: Investment Risk Management